Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0473 |
| Annualized Std Dev | 0.2356 |
| Annualized Sharpe (Rf=0%) | -0.2007 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4463.0000 |
| NAs | 1.0000 |
| Minimum | -0.2831 |
| Quartile 1 | -0.0038 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0043 |
| Maximum | 0.2813 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.3593 |
| Kurtosis | 80.5434 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0109 |
| Gain Deviation | 0.0125 |
| Loss Deviation | 0.0142 |
| Downside Deviation (MAR=210%) | 0.0150 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.8125 |
| Historical VaR (95%) | -0.0156 |
| Historical ES (95%) | -0.0351 |
| Modified VaR (95%) | -0.0018 |
| Modified ES (95%) | -0.0018 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-07-14 | 2009-03-09 | NA | -0.8125 | 4454 | 1424 | NA |
| 2003-06-30 | 2003-06-30 | 2003-07-03 | -0.0046 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | 0.1 | 0 | 1.1 | 0.6 | 1 | 0.2 | 0.4 | 3.4 |
| 2004 | 0.3 | 0.7 | 0.3 | 1.3 | 1.2 | 1.2 | 0.8 | 0.5 | 0.4 | 0.4 | -0.1 | 0.4 | 7.7 |
| 2005 | 0.5 | -0.1 | -0.9 | 0.6 | 0.8 | 0.3 | -0.3 | 0.2 | 1 | -0.3 | -0.1 | 0.8 | 2.5 |
| 2006 | 0.3 | -0.1 | 0.6 | 1.7 | 0.2 | 0.5 | 0.6 | 0.4 | -0.4 | -0.4 | 0.1 | 0.4 | 4 |
| 2007 | 0.5 | -0.2 | 0 | 0.5 | 0.4 | 0.5 | -1.6 | 1.7 | 1 | -1.3 | 1.4 | 1.9 | 4.9 |
| 2008 | 0.3 | -0.2 | 2.9 | 0.8 | 0.4 | 0.4 | 1.2 | 0.1 | 2.3 | 2.7 | -5.5 | 4.1 | 9.6 |
| 2009 | -2.7 | -1.1 | 0.8 | 1.6 | 1.3 | 2.1 | 0.4 | -1.3 | -1.4 | -2.1 | 0.4 | 0.8 | -1.5 |
| 2010 | 1.1 | 0.6 | 1.6 | -0.2 | -0.4 | -0.8 | 0.4 | 0.5 | 0.8 | 0.3 | -0.3 | 0 | 3.5 |
| 2011 | 1.4 | -0.6 | 0.6 | 0.1 | 0 | 0.7 | 0.8 | 0.1 | -2.5 | -1.8 | -1 | 0.6 | -1.7 |
| 2012 | 0.9 | 0.8 | -0.2 | 0.7 | 0.1 | -1.4 | 0.8 | 0.6 | 0.6 | 0.8 | -0.2 | -0.4 | 3 |
| 2013 | -0.9 | -0.1 | 0.2 | -0.5 | -1.1 | 0.6 | -0.1 | -0.2 | 1 | 0.2 | 0.5 | 0.7 | 0.4 |
| 2014 | -0.3 | 0.6 | 0.1 | -0.3 | 0.3 | -0.5 | -0.6 | -0.1 | -0.7 | 0.5 | 0.5 | 1.3 | 0.7 |
| 2015 | 0.1 | 0.2 | 0 | -0.1 | -0.2 | 0.3 | 0 | -0.1 | -1 | 0.1 | 0.3 | 0.5 | 0.1 |
| 2016 | 0 | 2 | -0.4 | 0.3 | 0.4 | 0.2 | -0.5 | -0.2 | 1.2 | -1.2 | 0.1 | 0.2 | 2.1 |
| 2017 | 0.1 | 0.6 | 0 | 0 | 0.2 | 1.4 | 0.1 | 0 | 0.8 | -0.4 | 0 | 0.6 | 3.6 |
| 2018 | 0.6 | 0.5 | 0.1 | 0.6 | 0.4 | -0.1 | -0.1 | -0.3 | 0 | 0.4 | -0.4 | 0.7 | 2.4 |
| 2019 | 0.8 | -0.1 | 1.8 | 0.6 | -0.3 | -0.1 | 0.7 | 0.1 | -0.3 | 0 | 0.8 | 0.1 | 4.2 |
| 2020 | -0.5 | -2.5 | -4.6 | -2.9 | 1.7 | 1.4 | -0.5 | 0.8 | 1.2 | 0 | 0.2 | 0.8 | -5.1 |
| 2021 | 1.4 | 0.8 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2003-06-26 15.1 SPY 98.8 1.30e-2 -1.22e-2 0.0327 0.134 0.0111 -0.332 NA <NA> NA NA NA
2 2003-06-27 15.1 SPY 97.7 -1.15e-2 -1.79e-2 0.0235 0.126 -0.0178 -0.339 NA <NA> NA NA NA
3 2003-06-30 15.0 SPY 97.6 -3.00e-4 -8.00e-3 0.007 0.152 -0.0134 -0.330 NA <NA> NA NA NA
4 2003-07-01 15.0 SPY 98.5 9.20e-3 1.00e-4 0.0121 0.145 0.0155 -0.318 NA <NA> NA NA NA
5 2003-07-02 15.0 SPY 99.8 1.26e-2 2.30e-2 0.0207 0.132 0.0505 -0.318 NA <NA> NA NA NA
6 2003-07-03 15.1 SPY 98.7 -1.03e-2 -6.00e-4 -0.0042 0.126 0.0338 -0.320 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
